Research Paper | Mathematics | Kenya | Volume 6 Issue 2, February 2017
Assets Valuation Using a Contingent Claim
Abstract: In this paper we consider the price dynamics of a portfolio consisting of risk-free and risky assets. The paper discusses the pricing process of a contingent claim, the pricing equation and the risk-neutral valuation under the Martingale representation property. A partial dierential equation with an unknown price function is formulated. The solution of this PDE gives a unique pricing formula.
Keywords: Continent claim valuation, Option pricing, Martingale representation, Risk-Neutral Valuation and Stochastic Integrals
Edition: Volume 6 Issue 2, February 2017,
Pages: 1460 - 1463
How to Cite this Article?
Were J, Omolo Ongati, Nyakinda J, "Assets Valuation Using a Contingent Claim", International Journal of Science and Research (IJSR), https://www.ijsr.net/get_abstract.php?paper_id=ART2017799, Volume 6 Issue 2, February 2017, 1460 - 1463, #ijsrnet
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